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Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values

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  • Singer, Hermann

Abstract

The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing data pattern can be different for each variable and system. Furthermore, the derived non-linear optimization algorithm with analytical score function can be used for the discrete time case as well.

Suggested Citation

  • Singer, Hermann, 1995. "Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values," Econometric Theory, Cambridge University Press, vol. 11(4), pages 721-735, August.
    • Handle: RePEc:cup:etheor:v:11:y:1995:i:04:p:721-735_00
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    Cited by:

    1. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    2. Hermann Singer, 2003. "Simulated Maximum Likelihood in Nonlinear Continuous-Discrete State Space Models: Importance Sampling by Approximate Smoothing," Computational Statistics, Springer, vol. 18(1), pages 79-106, March.
    3. Sy-Miin Chow & Zhaohua Lu & Andrew Sherwood & Hongtu Zhu, 2016. "Fitting Nonlinear Ordinary Differential Equation Models with Random Effects and Unknown Initial Conditions Using the Stochastic Approximation Expectation–Maximization (SAEM) Algorithm," Psychometrika, Springer;The Psychometric Society, vol. 81(1), pages 102-134, March.
    4. Hermann Singer, 2011. "Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(4), pages 375-413, December.
    5. Johan Oud & Robert Jansen, 2000. "Continuous time state space modeling of panel data by means of sem," Psychometrika, Springer;The Psychometric Society, vol. 65(2), pages 199-215, June.

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